The extremogram: a correlogram for extreme events

DOI10.3150/09-BEJ213zbMath1200.62104arXiv1001.1821MaRDI QIDQ605880

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1821

zbMATH Keywords

GARCH; stationary sequence; multivariate regular variation; tail dependence coefficient; stochastic volatility process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M15: Inference from stochastic processes and spectral analysis

62G32: Statistics of extreme values; tail inference

62F05: Asymptotic properties of parametric tests

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